This paper examines cross-sectional return predictability in a real estate investment trust (REIT) market by using a continuing overreaction measure constructed based on the weighted average of signed volumes. We show that (a) trading strategies that involve buying REITs with an upward continuing overreaction and selling REITs with a downward continuing overreaction generate intermediate-term momentum and long-term return reversals; (b) the continuing overreaction measure provides superior predictive power in future REIT returns compared with the traditional predictor measured by past returns; and (c) overreaction-based momentum is more pronounced when the market state continues in the same direction. Evidence from the REIT market provides direct support for the return prediction of the model based on investor overconfidence and biased self-attribution rather than the model based on dividend growth theory.

中文翻译：

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房地产投资信托市场反应过度的势头

本文通过使用基于签名交易量加权平均值构建的持续过度反应度量来检验房地产投资信托 (REIT) 市场的横截面回报可预测性。我们表明 (a) 交易策略包括买入向上持续过度反应的 REITs 和卖出持续向下过度反应的 REITs 会产生中期动能和长期回报逆转；(b) 与以过去回报衡量的传统预测指标相比，持续过度反应指标对未来 REIT 回报的预测能力更强；(c) 当市场状态继续朝着同一方向发展时，基于过度反应的势头更加明显。